An analytical approximation formula for the pricing of credit default swaps with regime switching (Q5158750)
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scientific article; zbMATH DE number 7413997
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| English | An analytical approximation formula for the pricing of credit default swaps with regime switching |
scientific article; zbMATH DE number 7413997 |
Statements
AN ANALYTICAL APPROXIMATION FORMULA FOR THE PRICING OF CREDIT DEFAULT SWAPS WITH REGIME SWITCHING (English)
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26 October 2021
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analytical approximation
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credit default swap
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regime switching
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Fourier cosine series
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0.8818183541297913
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0.799631655216217
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0.7902531027793884
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0.7805772423744202
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